Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1163
Annualized Std Dev 0.2279
Annualized Sharpe (Rf=0%) 0.5102

Row

Daily Return Statistics

Close
Observations 3743.0000
NAs 1.0000
Minimum -0.1509
Quartile 1 -0.0060
Median 0.0009
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0076
Maximum 0.1483
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0144
Skewness -0.4617
Kurtosis 12.5017

Downside Risk

Close
Semi Deviation 0.0105
Gain Deviation 0.0098
Loss Deviation 0.0115
Downside Deviation (MAR=210%) 0.0149
Downside Deviation (Rf=0%) 0.0103
Downside Deviation (0%) 0.0103
Maximum Drawdown 0.5882
Historical VaR (95%) -0.0205
Historical ES (95%) -0.0341
Modified VaR (95%) -0.0213
Modified ES (95%) -0.0387
From Trough To Depth Length To Trough Recovery
2007-12-27 2008-11-20 2011-04-28 -0.5882 841 229 612
2020-02-20 2020-03-23 2020-10-09 -0.3523 163 23 140
2011-05-20 2011-10-03 2012-04-02 -0.2725 219 94 125
2015-06-26 2016-02-08 2017-06-14 -0.2643 496 156 340
2018-12-04 2019-04-17 2020-01-08 -0.2513 275 92 183

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA 2.5 0.7 -0.2 -0.3 0 -1.6 -0.1 -0.2 0.8
2007 0.8 0.1 0.1 -0.7 0.5 -0.9 -0.4 0.7 0.1 -1 -0.1 -0.3 -1.2
2008 0.5 -3 4.1 0.2 -0.4 -0.8 -0.1 -0.6 -0.4 3.4 -7.1 0.1 -4.7
2009 -2.2 -2.6 0 -0.4 2.8 0.8 -0.6 -1.8 -1.6 -2.3 1.3 -1.5 -7.9
2010 0.7 1.1 0.9 -3.4 -1.4 -2 1.2 2.9 -0.2 -0.3 2.2 0 1.6
2011 1.5 -0.6 1.1 -0.3 -1.3 1.7 -3.6 -1 -1.5 -2.5 -0.3 -0.3 -7
2012 2.3 0.2 1 1.2 -2.2 0.4 0 0 0.8 2.3 0.1 1.4 7.7
2013 1.1 0.3 1.3 -0.4 -1.8 0.6 0.3 -0.9 1.5 -0.2 0.1 0.5 2.4
2014 -0.5 0.8 0.7 0.3 -0.2 0.7 0.2 0.6 -1.6 1.8 -0.3 -1.3 1.2
2015 -2 0.2 -0.8 0.5 0.2 0.7 0.7 -2.6 -0.2 -0.7 2.4 -0.8 -2.5
2016 0.8 1.6 0.8 -1.3 0.8 -0.2 -1.1 -0.7 0.9 -1.9 0.7 -0.5 0
2017 1 0.9 -0.3 0.6 2.2 0.2 -0.4 0.2 0.4 -1.1 -0.7 -0.6 2.4
2018 -0.6 -1 0.4 0.5 0.5 -0.5 0.2 0.6 0.2 0.8 -0.1 1 2.1
2019 -0.2 1.5 0.4 -0.2 -0.3 -0.2 -0.7 0.7 -1 0.8 -0.4 0.2 0.5
2020 -2.4 -0.9 -4.7 -2.9 -0.1 0.9 -1.2 -0.5 0.1 -0.2 0.7 1.1 -9.9
2021 0.7 1.6 0.5 NA NA NA NA NA NA NA NA NA 2.8

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart